The tail dependence structure between return and trading volume: an investigation on the Bitcoin market

【Author】 Chang, Kuang-Liang

【Source】APPLIED ECONOMICS

【影响因子】1.916

【Abstract】This research assesses the diversification patterns for tail dependence between Bitcoin return and trading volume by utilizing a dynamic mixture copula approach with spillover effect and asymmetric volatility effect. There are four main empirical findings. First, the spillover effect between return and trading volume exists. Second, the leverage effect is statistically significant for return and trading volume. Third, the linkages between return and trading volume are diversified. Both positive and negative tail dependence structures are observed, and the frequency of a positive tail dependence occurring is higher. Furthermore, the asymmetric tail dependence structure exists in positive and negative dependence situations. In the positive dependence structure, a co-movement in the increasing direction is stronger than a co-movement in the decreasing direction. In the negative dependence structure, a situation of a large return with low volume occurs more often than a situation of a small return with high volume. Fourth, the volatility of trading volume positively predicts the magnitude of positive dependence.

【Keywords】Bitcoin; return; trading volume; mixture copula; tail dependence

【发表时间】

【收录时间】2022-07-17

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-市场分析